Depression and anxiety are common among HIV-infected people and rank among the strongest predictors of non-adherence to antiretroviral therapy (ART). This longitudinal study aimed to assess whether symptoms of anxiety and depression are predictors of non-adherence among patients initiating ART at two public referral centers (n = 293) in Belo Horizonte, Brazil. Prevalence of severe anxiety and depression symptoms before starting ART was 12.6% and 5.8%, respectively. Severe anxiety was a predictor of non-adherence to ART during follow-up period (RH = 1.87; 95% CI = 1.14-3.06) adjusted for low education, unemployment, alcohol use in the last month and symptoms of AIDS; while a history of injection drug use had borderline statistical significance with non-adherence. These findings suggest that using a brief screening procedure to assess anxiety and depression symptoms before initiating ART help identify individuals for interventions to improve adherence and quality of life.